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50 pages, 1408 KiB

Open AccessArticle

Selection and Timing Skill in Bond Mutual Fund Returns: Evidence from Bootstrap Simulations

by Lifa Huang, Wayne Y. Lee and Craig G. Rennie

J. Risk Financial Manag. 2025, 18(2), 62; https://doi.org/10.3390/jrfm18020062 - 29 Jan 2025

Cited by 1 | Viewed by 1016

We show that U.S. open-end actively managed domestic bond mutual fund managers possess selection and short-term timing skills based on monthly returns from 1999 to 2016. Parametric tests bias against finding evidence of manager skill, and correction for precision of alpha matters most [...] Read more.

We show that U.S. open-end actively managed domestic bond mutual fund managers possess selection and short-term timing skills based on monthly returns from 1999 to 2016. Parametric tests bias against finding evidence of manager skill, and correction for precision of alpha matters most when true alpha is uncertain. Our bootstrap simulations use precision-adjusted alpha (t(α)) controlling for luck without relying on parametric statistics. We find: the top 50 percent of bond mutual fund managers generate positive precision-adjusted alpha net of expense; selection skill contributes to long-term fund performance; and timing skill adds to short-term fund results, especially for government bond funds compared to corporate bond funds. Full article

(This article belongs to the Special Issue Financial Markets and Institutions)

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18 pages, 733 KiB

Open AccessEditor’s ChoiceArticle

Assessing Energy Mutual Funds: Performance, Risks, and Managerial Skills

by Davinder Malhotra and Srinivas Nippani

Int. J. Financial Stud. 2024, 12(1), 20; https://doi.org/10.3390/ijfs12010020 - 26 Feb 2024

Cited by 2 | Viewed by 4072

Abstract

This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector’s cyclical nature, these funds consistently [...] Read more.

This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector’s cyclical nature, these funds consistently outperformed benchmarks based on monthly returns, showcasing resilience amid market fluctuations. However, challenges emerged during the COVID-19 pandemic, with notable improvements post-vaccination. Utilizing a multi-factor model, the research highlights the interconnectivity of energy equity mutual funds with broader market movements and systemic factors. Despite their primary focus on the energy sector, these funds exhibit sensitivity to larger market trends, rendering them susceptible to market dynamics. Additionally, an assessment of portfolio manager expertise reveals some proficiency in security selection post-vaccinations against COVID-19. Full article

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17 pages, 501 KiB

Open AccessArticle

Assessing the Performance and Risk-Adjusted Returns of Financial Mutual Funds

by Davinder K. Malhotra, Tim Mooney, Raymond Poteau and Philip Russel

Int. J. Financial Stud. 2023, 11(4), 136; https://doi.org/10.3390/ijfs11040136 - 9 Nov 2023

Cited by 3 | Viewed by 7018

Abstract

In this study, we provide a comprehensive examination of the performance of financial (specialty sector financial) mutual funds over a 23-year period, a much longer time frame than what has been analyzed in previous literature. To fully understand the performance of these mutual [...] Read more.

In this study, we provide a comprehensive examination of the performance of financial (specialty sector financial) mutual funds over a 23-year period, a much longer time frame than what has been analyzed in previous literature. To fully understand the performance of these mutual funds, we consider multiple factors, including risk-adjusted performance, both unconditional and conditional multifactor analysis, and market timing and selectivity. Financial mutual funds have higher risk-adjusted performance than the overall market and financial sector benchmarks. However, fund alphas are not different from zero, and managers do not exhibit market timing or security selection abilities. Our analysis not only includes the overall performance of these mutual funds, but we also delve into sub-samples before and after the 2008 financial crisis and during the recent Coronavirus pandemic. Full article

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23 pages, 1718 KiB

Open AccessArticle

A Fuzzy-Set Qualitative Comparative Analysis of Causal Configurations Influencing Mutual Fund Performance: The Role of Fund Manager Skill

by Pedro Carmona, Alexandre Momparler and Francisco Climent

Mathematics 2023, 11(21), 4500; https://doi.org/10.3390/math11214500 - 31 Oct 2023

Cited by 2 | Viewed by 2450

Abstract

A mutual fund is a common instrument for households and corporations to invest in the financial markets through diversified portfolios of securities. Investing in managed mutual funds involves relying on a fund manager’s knowledge, expertise, and investment strategy to beat the fund’s benchmark. [...] Read more.

A mutual fund is a common instrument for households and corporations to invest in the financial markets through diversified portfolios of securities. Investing in managed mutual funds involves relying on a fund manager’s knowledge, expertise, and investment strategy to beat the fund’s benchmark. The purpose of this paper is to help mutual fund investors in their fund selection process. The fuzzy-set qualitative comparative analysis (fsQCA) is the methodology applied to identify combinations of factors that facilitate the selection of performing mutual funds. The goal is to determine whether fund manager skill, as measured by Jensen’s Alpha and other qualitative factors, is a key driver of performance. Our research focuses on US-registered equity funds with a global investing scope over a 5-year period (2016–2021), and we combine three mutual fund databases to obtain more complete data while enhancing data accuracy and consistency. The findings reveal that both manager skill and fund size are pervasive factors included in all three successful combinations of sufficiency conditions leading to high-performance funds. In addition, it is verified that manager skill is the only necessary condition to ensure high returns on mutual funds. Investors’ fund selection process is a cumbersome task that can be simplified with the successful recipes provided by the fsQCA model. Full article

(This article belongs to the Special Issue Advanced Methods in Fuzzy Control and Their Applications)

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20 pages, 7535 KiB

Open AccessArticle

Fractile Graphical Analysis in Finance: A New Perspective with Applications

by Anil K. Bera and Aurobindo Ghosh

J. Risk Financial Manag. 2022, 15(9), 412; https://doi.org/10.3390/jrfm15090412 - 19 Sep 2022

Viewed by 2524

Abstract

Fractile Graphical Analysis (FGA) was proposed by Prasanta Chandra Mahalanobis in 1961 as a method for comparing two distributions at two different points (of time or space) controlling for the rank of a covariate through fractile groups. We use bootstrap techniques to formalize [...] Read more.

Fractile Graphical Analysis (FGA) was proposed by Prasanta Chandra Mahalanobis in 1961 as a method for comparing two distributions at two different points (of time or space) controlling for the rank of a covariate through fractile groups. We use bootstrap techniques to formalize the heuristic method used by Mahalanobis for approximating the standard error of the dependent variable using fractile graphs from two independently selected “interpenetrating network of subsamples.” We highlight the potential and revisit this underutilized technique of FGA with a historical perspective. We explore a new non-parametric regression method called Fractile Regression where we condition on the ranks of the covariate and compare it with existing regression techniques. We apply this method to compare mutual fund inflow distributions after conditioning on ranks or fractiles of pre-tax and post-tax returns and compare distributions of private and public equity returns after controlling for fractiles of assets under management size using the two sample smooth test. Full article

(This article belongs to the Special Issue A Commemorative Issue in Honor of Professor Michael McAleer, 1952–2021)

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19 pages, 340 KiB

Open AccessArticle

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

by Marwa Zouaoui

Int. J. Financial Stud. 2019, 7(3), 48; https://doi.org/10.3390/ijfs7030048 - 3 Sep 2019

Cited by 10 | Viewed by 5469

Abstract

This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment [...] Read more.

This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence performance when the funds do not apply Sharia law and when they are instead focused internationally. Full article

17 pages, 261 KiB

Open AccessArticle

Responsible or Thematic? The True Nature of Sustainability-Themed Mutual Funds

by Federica Ielasi and Monica Rossolini

Sustainability 2019, 11(12), 3304; https://doi.org/10.3390/su11123304 - 15 Jun 2019

Cited by 30 | Viewed by 6069

Abstract

The aim of the paper is to compare the risk-adjusted performance of sustainability-themed funds with other categories of mutual funds: sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and thematic funds not committed to responsible investments. The [...] Read more.

The aim of the paper is to compare the risk-adjusted performance of sustainability-themed funds with other categories of mutual funds: sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and thematic funds not committed to responsible investments. The study analyses a sample of about 1000 European mutual open-end funds where 302 are sustainability-themed funds, 358 are other responsible funds, and 341 other thematic funds. Risk-adjusted performance is analyzed for the period 2007–2017 using different methodologies: a single factor Capital Asset Pricing Model (CAPM), a Fama and French (1993) 3-factor model, and a Fama and French (2015) 5-factor model. Our main findings demonstrate that the risk-adjusted performance of ST funds is more closely related to their responsible nature than to their thematic approach. Sustainability-themed mutual funds are more similar to other socially responsible funds than to other thematic funds, as confirmed by performance analysis over time. They are also better than other thematic funds in overcoming financially turbulent periods and currently benefit from SRI regulation and disclosure. Full article

(This article belongs to the Special Issue Social Impact Investments for a Sustainable Welfare State)

17 pages, 341 KiB

Open AccessArticle

Related Stocks Selection with Data Collaboration Using Text Mining

by Masanori Hirano, Hiroki Sakaji, Shoko Kimura, Kiyoshi Izumi, Hiroyasu Matsushima, Shintaro Nagao and Atsuo Kato

Information 2019, 10(3), 102; https://doi.org/10.3390/info10030102 - 7 Mar 2019

Cited by 7 | Viewed by 5457

Abstract

We propose an extended scheme for selecting related stocks for themed mutual funds. This scheme was designed to support fund managers who are building themed mutual funds. In our preliminary experiments, building a themed mutual fund was found to be quite difficult. Our [...] Read more.

We propose an extended scheme for selecting related stocks for themed mutual funds. This scheme was designed to support fund managers who are building themed mutual funds. In our preliminary experiments, building a themed mutual fund was found to be quite difficult. Our scheme is a type of natural language processing method and based on words extracted according to their similarity to a theme using word2vec and our unique similarity based on co-occurrence in company information. We used data including investor relations and official websites as company information data. We also conducted several other experiments, including hyperparameter tuning, in our scheme. The scheme achieved a 172% higher F1 score and 21% higher accuracy than a standard method. Our research also showed the possibility that official websites are not necessary for our scheme, contrary to our preliminary experiments for assessing data collaboration. Full article

(This article belongs to the Special Issue MoDAT: Designing the Market of Data)

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19 pages, 3166 KiB

Open AccessArticle

Ensuring the Long-Term Sustainability Cooperation with Stakeholders of Sports Organizations in SLOVAKIA

by Michal Varmus, Milan Kubina, Gabriel Koman and Patrik Ferenc

Sustainability 2018, 10(6), 1833; https://doi.org/10.3390/su10061833 - 1 Jun 2018

Cited by 15 | Viewed by 6087

Abstract

Organizations, nowadays, operate in highly dynamically-developing environments. This fact also applies to sports organizations, which are looking for various ways to succeed or survive in these environments. There are various solutions available, but from a long-term perspective it is important for sports organizations [...] Read more.

Organizations, nowadays, operate in highly dynamically-developing environments. This fact also applies to sports organizations, which are looking for various ways to succeed or survive in these environments. There are various solutions available, but from a long-term perspective it is important for sports organizations to think in a complex way. One of the solutions of this issue is to ensure the long-term sustainability and development of these organizations. The aim of this paper is to focus on strategic factors in the management of mutual relationships with stakeholders. The importance of managing cooperation with stakeholders is very high for the achievement of both short-term and long-term objectives. This paper presents, in addition to the results of research aimed at the cooperation of sports organizations and their stakeholders (425 respondents participated in the research), solutions to issues currently troubling sports organizations in this field. These issues include the lack of funds for the functioning of the sports organization, as well as the insufficient size of sports organization membership. Sports organizations cannot only reduce the intensity of these issues, but can also eliminate them by utilising selected key factors in the management of mutual relationships with stakeholders. Full article

(This article belongs to the Special Issue Alliances and Network Organizations for Sustainable Development)

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20 pages, 2391 KiB

Open AccessArticle

Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis

by Stephanos Papadamou, Nikolaos A. Kyriazis and Lydia Mermigka

Int. J. Financial Stud. 2017, 5(1), 9; https://doi.org/10.3390/ijfs5010009 - 1 Mar 2017

Cited by 5 | Viewed by 7169

Abstract

This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in [...] Read more.

This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in order to investigate whether active or passive management has been affected by unconventional times and to what extent. Evidence indicates that in four out of eight funds, asset selection presents a significant contribution to returns. The Selection Sharpe Ratios for sectoral and style analyses exhibit positive values added per unit of risk due to active management for the majority of our funds in the pre-Lehman default period. Nevertheless, none of them presents statistical significance according to the t-statistic. Moreover, over the post-Lehman default, only two out of eight funds achieved lower volatility levels and higher returns due to active management. A style drift to big capitalization stocks with low values of book to market ratio is to be held responsible for the outperformance. Overall, our findings imply that active management in a monetary easing environment does not add significant value to the mutual fund performance. Full article

(This article belongs to the Special Issue Asset Pricing and Portfolio Choice)

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